IPOs: methods

Code: pipeline/tipsheet/compute/ipo.py, publish/ipo.py. Tests: pipeline/tests/test_ipo.py. Pre-registered spec and results: docs/research/ipo_spec.md. Bundles: ipo/*.

What we measure

• Listing tracker: every mainboard and SME listing on NSE since 2016. For each one: issue price, listing-day open and close, listing gain, and the return since listing against Nifty 500 over the same dates.
• Returns after listing: returns at 1 month, 6 months, 1, 3 and 5 years, against three benchmarks: Nifty 500, Nifty500 Equal Weight and Smallcap 250. Reported for all listings together and by listing-year cohort.
• Calendar-time portfolio: each month, an equal-weighted portfolio of every mainboard IPO in months 1 to 36 after listing. This is the clean test of whether IPOs beat or trail the market.
• Heat gauge: how busy and how hot the IPO market is. It ranks two things against all earlier history:
  • the number of mainboard listings in the last three months
  • their median listing gain

Sources

• Issues: NSE’s public past-issues list. The Data bank fetches it daily as nse_ipo_history; the exchange serves it from 2016-01. It gives the symbol, issue dates, issue price and NSE’s listing date. It has no ISIN, subscription or issue size.
• Prices: NSE bhavcopy, through the adjusted price panel (prices.md). Delisted stocks are included, and prices are adjusted for splits, bonuses, rights and demergers.
• Benchmarks: niftyindices price indices (nifty_index_history). Nifty 500 TRI is used as a robustness check.

Matching an issue to its listing

• The anchor is the issue close date. The listing is the symbol’s first NSE session after the close, within 15 sessions. Every match so far fell 2 to 11 sessions after the close; T+6 settlement applied before 2023, and T+3 since.
• The listing must be fresh. The ISIN on the listing row must never have traded on NSE before, under any symbol. This rules out FPOs, relistings and reused symbols.
• BSE-first listings are excluded. A mainboard issue whose first NSE trade is not on NSE’s listing date listed on BSE first, so its first NSE trade is not a listing day. CAMS is the example: it listed on BSE in 2020.
• NSE’s listing date is a cross-check only. It agrees exactly for 1,122 listings.
  • For 129 SME issues it holds the later migration to the main board, not the SME listing.
  • Some mainboard rows leave it blank, for example DCX Systems.
• Exclusions: every excluded issue is written with its reason to .cache/derived/qa_ipo_excluded.csv.

Definitions

• Listing gain = listing-day close ÷ issue price − 1. The open gain is shown alongside.
  • NSE’s listing-day open is set in the special pre-open call auction for IPOs.
  • Retail and employee discounts are ignored.
• Returns after listing start from the listing-day close and use adjusted prices. They are price returns: dividends are left out on both sides, and the benchmarks are price indices.
• BHAR (buy-and-hold abnormal return) = IPO return − benchmark return over identical dates.
• Wealth relative = (1 + mean IPO return) ÷ (1 + mean benchmark return). Above 1 means IPOs did better on average.
• Horizons count NSE sessions: 21, 126, 250, 750 and 1,250. Recent listings are left out of horizons that haven’t finished.
• A stock that stops trading exits at its last close, and the benchmark is cut to the same dates. The exited_early count shows how often this happens.
• Heat: each row covers the three months ending that month.
  • Both parts, the listing count and the median listing gain, are ranked against all earlier rows. heat is the mean of the two ranks.
  • A month is hot when heat is at least 2/3.
  • Ranks start in 2017-03, after 12 months of history.
  • When testing hot markets, an issue listing in month m uses the row for m−1, so its own month never colours its label.

Validation

• Listing prices: our listing close matched IPO Watch’s figure from NSE press releases exactly in 478 of 479 mainboard issues. The one miss is a join collision in the comparison, not a price error.

• Spot checks against well-known listings:

  Issue	Issue price	Listing open	Listing close
  Bajaj Housing Finance	₹70	150	165
  Paytm	₹2,150	1,950	1,560.80
  Tata Technologies	₹500	1,200	1,313
  Hyundai	₹1,960	1,934	1,819.60

  Widely quoted closes sometimes differ by a few rupees. Those are BSE closes.

• Extreme returns checked by hand:

  • Mainboard: Mazagon Dock rose 11.4× in three years.
  • SME: NPST rose 108× and KSOLVES 79×.

  These are real. Every bonus factor behind them matches the ex-date price gap.

Findings (to 2026-09-30)

• No long-run underperformance and no outperformance. The calendar-time alpha against Nifty 500 is +4.1% a year, Newey-West t = 0.89. It isn’t significant against any benchmark.
• The typical IPO trails the market, and a few big winners lift the average. At 3 years the mean BHAR against Nifty 500 is +19%, the median is −28%, and 41% of IPOs beat the index.
• Listing gain says nothing about the next year: Spearman 0.003.
• Hot markets: IPOs from hot months trailed by 7 points at one year, p = 0.27. The direction is as expected but the result is not significant.
• Heat now: July to September 2026 had 60 mainboard listings, the most of any three months since 2016, with a median listing gain of 15.9%. heat is 0.78 (hot).

Known limits

• NSE only, from 2016. IPO Watch has issues from about 2000; adding them is a separate, validated step.
• Subscription is not published.
  • IPO Watch’s figures look like a snapshot taken during the last bidding day. Bajaj Housing Finance shows 35.2× there against about 63.6× final.
  • The Data bank’s 06:00 fetch sees each book before the last day’s bids.
  • Since 2026-10-01 a 20:00 weekday fetch (scripts/ipo_evening.sh) records the end-of-day book for issues closing that day, so final subscription accumulates from now on.
• Issue size is not used. No source has it reliably: IPO Watch’s sizes have a units error in about two-thirds of mainboard rows. Everything is equal-weighted.
• Small samples in some years. There were only 13–14 mainboard listings in 2019 and 2020, and the 5-year horizon rests on the 2016–2021 cohorts.
• SME is descriptive only. Thin floats and a few multibaggers dominate the means.